| 股票回报率与汇率的关系——基于中国的实证 |
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| 引用本文： | 李亚琼,黄立宏.股票回报率与汇率的关系——基于中国的实证[J].经济数学,2010,27(3):1-8. |
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| 作者姓名： | 李亚琼 黄立宏 |
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| 作者单位： | 湖南大学,数学与计量经济学院,湖南,长沙,410082 |
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| 基金项目： | 湖南省科技厅计划项目，湖南省自然科学基金资助项目 |
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| 摘 要： | 考察了上海股票市场A股的回报率与人民币汇率的关系．首先，经过单位根检验发现：股票回报率与人民币名义汇率是一阶单整。接着，利用Engle—Granger协整检验得到：在5％的显著性水平下，股票回报率与人民汇率没有长期均衡关系，但不能够拒绝短期单方向的Granger因果关系，即人民币名义汇率是股票回报率的Granger原因．
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| 关 键 词： | 协整 Granger因果关系 人民币汇率 股票回报率 单位根检验 |
On the Relationship between Stock Returns and Exchange Rate in Chinese Stock Markets |
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| LI Ya-qiong and HUANG Li-hong.On the Relationship between Stock Returns and Exchange Rate in Chinese Stock Markets[J].Mathematics in Economics,2010,27(3):1-8. |
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| Authors: | LI Ya-qiong and HUANG Li-hong |
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| Institution: | (College of Mathematics and Econometrics, Hunan University, Changsha , Hunan 410082,China) |
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| Abstract: | This paper investigated the relationship between RMB exchange rate and A-share stock returns in China, in particular in Shanghai stock market. We find that both stock returns and RMB nominal exchange rate are integrated of order 1. The Engle-Granger cointegration test was then performed, suggesting that there is not a long-run equilibrium relationship between stock returns and RMB exchange rates at 5% significance level. However, strong evidence suggests that there is a short-run uni-directional causality relationship from the nominal exchange rate to the stock returns. |
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| Keywords: | cointegration Granger causality RMB exchange rate stock return unit root test |
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